Fixed Income Securities: Tools for Today's Markets (Hardcover, 4)

Preface

Overview

Chapter 1  Prices, Discount Factors, and Arbitrage

Chapter 2 Swap, Spot, and Forward Rates

Chapter 3 Returns, Yields, Spreads, and P&L Attribution

Chapter 4 DV01, Duration, and Convexity

Chapter 5 Key-Rate-, Partial-, and Forward-Bucket '01s and Durations

Chapter 6 Regression Hedging and Principal Component Analysis

Chapter 7 Arbitrage Pricing with Term Structure Models

Chapter 8 Expectations, Risk Premium, Convexity, and the Shape of the Term Structure

Chapter 9 The Vasicek and Gauss+ Models

Chapter 10 Repurchase Agreements and Financing

Chapter 11 Note and Bond Futures

Chapter 12 Short-Term Rates and Their Derivatives

Chapter 13 Interest Rate Swaps

Chapter 14 Corporate Debt and Credit Default Swaps

Chapter 15 Mortgages and Mortgage-Backed Securities

Chapter 16 Fixed Income Options

Appendices

Index